Building different Statistical models such as Regression models, Vector Autoregressive models, Forecasting models, Logistic regression models etc. to test investment approaches for Client’s multi-asset team. Referring to academic papers to translate concept into practice.
Using different techniques (such as PCA, stepwise regression, Kalman smoothing, regression equations, Impulse response function etc.) to develop models and then validate those models by considering in-sample and out-of-sample analysis, using measures like MSFE, RMSE etc.
Conducting economic research of different regions for writing a daily commentary on global macro-economic scenario from an investment perspective.
Working on special projects such as term premium estimation, now casting etc. using advanced econometric methodologies to perceive investor sentiments.
Preparing chart books for different economies to enable visualization of the relation between different key macro-economic and financial indicators.
Writing advanced codes in statistical softwares like R, Matlab to build and validate statistical models and for data cleaning, model analysis and chart packs preparations. Automation by means of writing scripts in R to extract data directly from various sources.
Preparing reports to document the techniques, results and interpretation of these results and graphs, from the quantitative analysis conducted.
Collating macro-economic and financial data from market data providers or other sources.